Portfolio management of a small RES utility with a structural vector autoregressive model of electricity markets in Germany

• Autorzy: Maciejowska Katarzyna

Identyfikatory

DOI

10.37190/ord220405

• Języki publikacji: EN

Abstrakty

EN

Electricity producers and traders are exposed to various risks, among which price and volume risk play very important roles. This research considers portfolio-building strategies that enable the proportion of electricity traded in different electricity markets (day-ahead and intraday) to be chosen dynamically. Two types of approaches are considered: a simple strategy, which assumes that these proportions are fixed, and a data-driven strategy, in which the ratios fluctuate. To explore the market information, a structural vector autoregressive model is applied, which allows one to estimate the relationship between the variables of interest and simulate their future distribution. The approach is evaluated using data from the electricity market in Germany. The outcomes indicate that data-driven strategies increase revenue and reduce trading risk. These financial gains may encourage energy traders to apply advanced statistical methods in their portfolio-building process.

Słowa kluczowe

EN

intraday electricity market; day-ahead electricity market; structural vector autoregressive model; probabilistic forecasting; trading strategy

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2022
• Tom: Vol. 32, No. 4
• Strony: 75--90
• Opis fizyczny: Bibliogr. 32 poz., rys.

Twórcy

autor

Maciejowska Katarzyna

• Department of Management, Wroclaw University of Science and Technology, Wrocław, Poland

• https://orcid.org/0000-0003-2636-5115

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Uwagi

Opracowanie rekordu ze środków MEiN, umowa nr SONP/SP/546092/2022 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2022-2023).